Research

Fields of Specialization

Mathematical Finance (stock, option, bond, ETF, pricing, investment), Stochastic Process (path-dependent analysis, BSDE, G-expectation), Stochastic Optimal Control

Publications/Working Papers

• Jaehyun Kim, Hyungbin Park, Jonghwa Park. Pricing and hedging short-maturity Asian options in local volatility models. Manuscript (2024) Arxiv

• Kiseop Lee, Seongje Lim, Hyungbin Park. Option pricing under path-dependent stock models. Manuscript (2023) Arxiv

• Tim Leung, Hyungbin Park, Heejun Yeo. Robust long-term growth rate of expected utility for leveraged ETFs. Manuscript under revision at Mathematics and Financial Economics (2023) Arxiv

• Jiuk Jang, Hyungbin Park.  A discretization scheme for path-dependent FBSDEs. Manuscript (2023) Arxiv

•  Hyungbin Park, Heejun Yeo. Dynamic and static fund separations and their stability for long-term optimal investments. Manuscript under revision at Mathematical Finance (2022) Arxiv

• Seunghyun Lee, Hyungbin Park. Conditions for bubbles to arise under heterogeneous beliefs. Feature article. Quantitative Finance (2021) Journal link

• Hyungbin Park. Influence of risk tolerance on long-term investments: A Malliavin calculus approach. Stochastics: An International Journal of Probability and Stochastic Processes (2021) Journal link

• Hyungbin Park. Convergence rates of large-time sensitivities with the Hansen--Scheinkman decomposition. Mathematics and Financial Economics (2021) Journal link

• Hyungbin Park. A representative agent model based on risk-neutral prices. Manuscript (2021) Arxiv

• Hyungbin Park, Stephan Sturm. A sensitivity analysis of long-term expected utility of optimal portfolios. Manuscript (2019) Arxiv

• Hyungbin Park. Sensitivity analysis of long-term cash flows. Finance and Stochastics, Vol. 22 (4), 773-825 (2018) Journal link

• Zhenyu Cui, Duy Nguyen, Hyungbin Park. An integral representation for elasticity and sensitivity for stochastic volatility models. Mathematics and Financial Economics, Vol 12 (2), 249-274 (2018) Journal link

• Tim Leung, Hyungbin Park. Long-term growth rate of expected utility for leveraged ETFs. International Journal of Theoretical and Applied Finance, Vol. 20 (6) (2017) Journal link

• Hyungbin Park. Ross recovery with recurrent and transient processes. Feature article. Quantitative Finance, Vol. 16 (5), 667-676 (2016) Journal link